We propose a technique to infer cash flow yields for investment assets whose trades are infrequent, but for which cash flow data is available. We construct a Self-Propagating Rolling-Window Panel VAR framework, adapted from a Dynamic Gordon Growth Model setup. We use this framework to estimate...

Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is an open issue. Our study addresses this topic by analyzing a sample of...

Pricing commercial real estate has its foundations in present value theory. Recent improvements for accessing transaction data have stimulated interest in commercial property hedonic pricing models, the structures of which follow traditions in single-family real estate in that the implicit...